Some uniform estimates for the transition density of a Brownian motion on a Carnot group and their application to local times
Teoriâ slučajnyh processov, Tome 19 (2014) no. 1, pp. 62-90.

Voir la notice de l'article provenant de la source Math-Net.Ru

For a specific Brownian motion on a Carnot group several estimates for its transition density are established, which are uniform w.r.t. external parameter. These estimates can be used for studying functionals of any Brownian motion on a Carnot group. As an application we show the existence of the renormalized local time for the increments of Levy area. This result has a lot in common with the well-known existence of the renormalized self-intersection local time for two-dimensional Brownian motion.
Keywords: Brownian motion on Carnot group, local time, Levy area.
Mots-clés : Hormander condition
@article{THSP_2014_19_1_a6,
     author = {A. V. Rudenko},
     title = {Some uniform estimates for the transition density of a {Brownian} motion on a {Carnot} group and their application to local times},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {62--90},
     publisher = {mathdoc},
     volume = {19},
     number = {1},
     year = {2014},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2014_19_1_a6/}
}
TY  - JOUR
AU  - A. V. Rudenko
TI  - Some uniform estimates for the transition density of a Brownian motion on a Carnot group and their application to local times
JO  - Teoriâ slučajnyh processov
PY  - 2014
SP  - 62
EP  - 90
VL  - 19
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/THSP_2014_19_1_a6/
LA  - en
ID  - THSP_2014_19_1_a6
ER  - 
%0 Journal Article
%A A. V. Rudenko
%T Some uniform estimates for the transition density of a Brownian motion on a Carnot group and their application to local times
%J Teoriâ slučajnyh processov
%D 2014
%P 62-90
%V 19
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/THSP_2014_19_1_a6/
%G en
%F THSP_2014_19_1_a6
A. V. Rudenko. Some uniform estimates for the transition density of a Brownian motion on a Carnot group and their application to local times. Teoriâ slučajnyh processov, Tome 19 (2014) no. 1, pp. 62-90. http://geodesic.mathdoc.fr/item/THSP_2014_19_1_a6/

[1] F. Baudoin, An introduction to the geometry of stochastic flows, Imperial College Press, London, 2004 | MR | Zbl

[2] A. Bonfiglioli, E. Lanconelli, F. Uguzzoni, Stratified Lie groups and potential theory for their sub-Laplacians, Springer Monographs in Mathematics, Springer, Berlin, 2007 | MR | Zbl

[3] A. A. Dorogovtsev, V. V. Bakun, “Random mappings and a generalized additive functional of a Wiener process”, Theory of Prob. and its Appl., 48:1 (2003) | MR | Zbl

[4] A. Dvoretzky, P. Erdös, S. Kakutani, “Multiple points of paths of Brownian motion in the plane”, Bull. Res. Council Israel, 3 (1954), 364–371 | MR

[5] G. B. Folland, Elias M. Stein, Hardy spaces on homogeneous groups, Mathematical Notes, 28, Princeton University Press, Princeton, N.J., 1982 | MR | Zbl

[6] Lars Hörmander, Anders Melin, “Free systems of vector fields”, Ark. Mat., 16:1 (1978), 83–88 | MR | Zbl

[7] P. Imkeller, V. Perez-Abreu, J. Vives, “Chaos expansions of double intersection local time of Brownian motion in {$R^d$} and renormalization”, Stoch. Proc. and Appl., 56 (1995), 1–34 | DOI | MR | Zbl

[8] Kiyosi Itô, “Brownian motions in a Lie group”, Proc. Japan Acad., 26:8 (1950), 4–10 | DOI | MR | Zbl

[9] O. Kallenberg, Foundations of modern probability, Probability and its applications, Springer, New York, 2002, 638 pp. | DOI | MR | Zbl

[10] Jean-Francois Le Gall, “Wiener sausage and self-intersection local times”, Journal of Functional Analysis, 88 (1990), 299–341 | DOI | MR | Zbl

[11] J. Rosen, “A renormalized local time for multiple intersections of planar Brownian motion”, Seminaire de Probabilities XX, 20, 1986, 515–531 | MR

[12] Linda Preiss Rothschild, E. M. Stein, “Hypoelliptic differential operators and nilpotent groups”, Acta Math., 137:3-4 (1976), 247–320 | MR

[13] A. Rudenko, “Local time for Gaussian processes as an element of Sobolev space”, Commun. stoch. anal., 3:2 (2009), 223–247 | MR

[14] A. Rudenko, “Some properties of the Ito-Wiener expansion of the solution of a stochastic differential equation and local times”, Stochastic Processes and their Applications, 122:6 (2012), 2454–2479 | DOI | MR | Zbl

[15] Daniel W. Stroock, Partial differential equations for probabilists, Cambridge Studies in Advanced Mathematics, 112, Cambridge University Press, Cambridge, 2008 | MR | Zbl

[16] N. Th. Varopoulos, L. Saloff-Coste, T. Coulhon, Analysis and geometry on groups, Cambridge Tracts in Mathematics, 100, Cambridge University Press, Cambridge, 1992 | MR